I've got a Zoom H2 - you can get these for around £150, and they're perfect. You can select the quality of the recording from a long menu, from the smallest MP3 to the biggest WAV, it has 4 built in mics, and putting it in the middle of a session gives you superb stereo recordings. I've bought a 16GB SD card for it that'll keep me going through a week of intensive workshops at Sore Fingers Summer School this Easter, and I won't have to miss a note.
I've had a couple of Sony minidisc recorders and a good IRiver recorder, but this is better by far. I edit the files in my PC using GoldWave software (or you can use the fee Audacity).
Ray